Chinese stock index futures arbitrage based on high-frequency data

被引：0

作者：

Wei, Zhuo ^{[1
]}

Chen, Chong ^{[2
]}

Wei, Xian-Hua ^{[1
]}

机构：

[1] School of Management, Graduate University of Chinese Academy of Sciences, Beijing 100190, China

[2] Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China

来源：

Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2012年 / 32卷 / 03期

关键词：

Arbitrage opportunity - CSI 300 index futures - Futures-spot arbitrages - High frequency data - Index futures - No arbitrage - Stock index futures;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

This paper used SSE50ETF, SSE Bonus ETF, SZSE100ETF to replicate underlying index to construct no-arbitrage band of CSI 300 index future, and analyzed the arbitrage opportunity and result for main contract of IF1005, IF1006 and IF1007. We found that three main contract exist arbitrage chances; compared to foreign bilateral arbitrage opportunities arise when the early introduction of index futures, CSI 300 index future shows unilateral arbitrage opportunities; compared to the constant arbitrage opportunities researched by simulation trading data, the actual trading data reveals arbitrage opportunities gradually reduced; the profits are less when many arbitrage opportunities exist, and there are more profits when arbitrage opportunities are less. In the end, we offered some investment suggestions based on our research.

引用

页码：476 / 482

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